Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs

References

• Albrecher , H. and Thonhauser , S. 2009 . Optimality results for dividend problems in insurance . Rev. R. Acad. Cien. Serie A Mat. , 103 ( 2 ) : 295 – 320 .
   Google Scholar
• Avanzi , B. 2009 . Strategies for dividend distribution: A review . N. Am. Actuar. J. , 13 : 217 – 251 .
   Google Scholar
• Bensoussan , A. and Lions , J.L. 1982 . Contrôle Impulsionnel et Inéquations Quasi Variationnelles , Paris : Bordas .
   Google Scholar
• Björk , T. 1980 . Finite dimensional optimal filters for a class of Itô-processes with jumping parameters . Stochastics , 4 : 167 – 183 .
   Google Scholar
• Cadenillas , A. and Zapatero , F. 1999 . Optimal central bank intervention in the foreign exchange market . J. Econ. Theory , 87 : 218 – 242 .
   Web of Science ®Google Scholar
• de Finetti , B. 1957 . Su un'Impostazione alternativa della teoria collettiva del rischio . Trans. XVth Int. Congress Actuaries , 2 : 433 – 443 .
   Google Scholar
• Guo , X. 2001 . An explicit solution to an optimal stopping problem with regime switching . J. Appl. Probab. , 38 ( 2 ) : 464 – 481 .
   Web of Science ®Google Scholar
• Hackbarth , D. , Miao , J. and Morellec , E. 2006 . Capital structure, credit risk, and macroeconomic conditions . J. Finan. Econ. , 82 : 519 – 550 .
   Web of Science ®Google Scholar
• Ho , S.K. and Wu , C. 2001 . The earnings information content of dividend initiations and omissions . J. Bus. Finance Acc. , 28 : 963 – 1081 .
   Google Scholar
• Jeanblanc-Picqué , M. and Shiryaev , A.N. 1995 . Optimization of the flow of dividends . Russ. Math. Surv. , 50 ( 2 ) : 257 – 277 .
   Web of Science ®Google Scholar
• Lintner , J. 1956 . Distribution of incomes of corporations among dividends, retained earnings and taxes . Am. Econ. Rev. , 46 : 97 – 113 .
   Web of Science ®Google Scholar
• Miller , M. and Modigliani , F. 1961 . Dividend policy, growth and the valuation of shares . J. Bus. , 34 : 411 – 433 .
   Web of Science ®Google Scholar
• Perez-Quiros , G. and Timmermann , A. 2000 . Firm size and cyclical variations in stock returns . J. Finance , 55 ( 3 ) : 1229 – 1262 .
   Web of Science ®Google Scholar
• Poterba , J. 2004 . Taxation and corporate payout policy . Am. Econ. Rev. , 94 ( 2 ) : 171 – 175 .
   Web of Science ®Google Scholar
• Schmidli , H. 2008 . Stochastic Control in Insurance , London : Springer .
   Google Scholar
• L.R. Sotomayor, Stochastic control with regime switching and its applications to financial economics, Ph.D. diss., Department of Mathematical and Statistical Sciences, University of Alberta (2008)
   Google Scholar
• Sotomayor , L.R. and Cadenillas , A. 2011 . Classical and singular stochastic control for the optimal dividend policy with regime switching . Insur. Math. Econ. , 48 ( 3 ) : 344 – 354 .
   Web of Science ®Google Scholar
• Taksar , M. 2000 . Optimal risk and dividend distribution control models for an insurance company . Math. Meth. Oper. Res. , 51 : 1 – 42 .
   Web of Science ®Google Scholar